Caracterização dos retornos e das volatilidades de ativos financeiros do mercado Brasileiro : uma abordagem baseada na volatilidade realizada

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when the information contained in high frequency data is used to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities of the Brazilian stocks, showing that the distributions of volatilities are nearly lognormal. Second, we estimate a simple linear model to the log of realized volatilities that differs from the ones in other studies. The main difference is that we do not find evidence of long memory. The estimated model is compared with commonly used alternatives in an out-of-sample experiment.

Acões de crescimento e valor no Brasil : um estudo dos retornos e determinantes da convergência do múltiplo P/B

Este trabalho busca compreender melhor as fontes de retorno de ações de valor e crescimento e os determinantes da convergência do indicador preço sobre valor patrimonial (P/B). Foram criados seis carteiras durante o período de 2001 a 2013, sendo elas classificadas de acordo com o seu múltiplo (P/B) e sua capitalização de mercado. O retorno divido entre dividendos e ganhos de capital, este foi dividido em: (1) crescimento do valor patrimonial, (2) convergência do indicador preço sobre valor patrimonial (P/B), devido a reversão de rentabilidade, crescimento e retorno esperado e (3) efeito drift. Também buscou-se determinar quais os principais fatores macro que afetam a convergência do indicador P/B. Foi realizada uma regressão linear múltipla utilizando como variáveis independentes a valorização do Ibovespa, PIB, juros reais, surpresa inflacionária e dummies (small, growth e value). A carteira big growth apresentou o melhor desempenho, seguido da carteira small value. O retorno de dividendos foi mais importante para os portfólios big em relação à small e para as carteiras value em relação às growth. Ao analisar o ganho de capital, verificou-se que o crescimento do valor patrimonial é maior para empresas growth, enquanto o efeito da convergência é mais importante para empresas valor. Verificou-se que o retorno do Ibovespa, surpresa inflacionária e o baixo valor de mercado influenciam positivamente a convergência do P/B. Já o pagamento os juros reais, PIB e a dummy growth influenciam negativamente.

Especificação de um modelo para explicação e projeção de retornos do IBRX-100

Neste trabalho, propomos uma especificação de modelo econométrico na forma reduzida, estimado por mínimos quadrados ordinários (MQO) e baseado em variáveis macroeconômicas, com o objetivo de explicar os retornos trimestrais do índice de ações IBRX-100, entre 2001 e 2015. Testamos ainda a eficiência preditiva do modelo e concluímos que o erro de previsão estimado em janela móvel, com re-estimação de MQO a cada rodada, e utilização de VAR auxiliar para projeção dos regressores, é significativamente inferior ao erro de previsão associado à hipótese de Random Walk para o horizonte de previsão de um trimestre a frente.

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Hemoglobinas anormais e dificuldade diagnóstica

The human hemoglobins, with genetically defined inheritance patterns, have shown characteristic polymorphic variation within the Brazilian population, depending on the racial groups of each region. They have appeared under the form of hemoglobin variants or thalassemias, the variant types S and C and the alpha and beta thalassemias being more common, all of them in heterozygote form. During the year of 1999, blood samples from 506 individuals, with suspected anemia or that had already passed through hemoglobinopathies screening, were sent to the Hemoglobin Reference Center - UNESP for diagnostic confirmation and submitted to electrophoresis proceedings, biochemical and cytological analyses in order to characterize the type of abnormal hemoglobins. The goal of the present study was to verify which abnormal hemoglobin types show greater diagnostic difficulty. The samples came from 24 cities in twelve states. The results showed that 354 (69.96%) individuals presented abnormal hemoglobins, 30 (5.93%) being Hb AS, 5 (0.98%) being Hb AC, 76 (15.02%) suggestive of heterozygote alpha thalassemia, 134 (26.48%) suggestive of heterozygote beta thalassemia and 109 (21.54%) with other forms of abnormal hemoglobin, including rare variants and different forms of thalassemias and variant hemoglobin interactions. It has been concluded that, despite the improved techniques currently available and a constant influx of capacitated personnel, the heterozygote form of thalassemias (210 individuals -41.50%) is challenging to diagnose, followed in difficulty by rare variant characterization and interactive forms of hemoglobinopathies (109 individuals-21,54%), suggesting that the capacity for production of qualified professionals and information about these genetic changes in our population should be increased.

México: capital humano e ingresos. Retornos a la educación, 1994-2005

Incluye Bibliografía

Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa

Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC) simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student's t distribution adjusted better to the data.

Amplificação gênica alelo específica e multiplex no diagnóstico laboratorial de hemoglobinas anormais

Pós-graduação em Biociências e Biotecnologia Aplicadas à Farmácia - FCFAR

Retornos crescentes e decrescentes e firma representativa: uma visão do Simpósio de 1930

This paper objective is to analyze the Theory of Increasing and Diminishing Returns from the perspective of the Symposium of 1930, written by Robertson, Sraffa and Shove. Besides these authors, are also treated other texts Robetson and Sraffa, and texts by Pigou and Robbins, expressing the similarity and difference of thought of each author with respect to the Laws

Los retornos del exilio en Argentina y Uruguay : Una historia comparada de las políticas y tensiones en la recepción y asistencia en las posdictaduras (1983-1989)

Fil: Lastra, Soledad. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación; Argentina.

Los retornos del exilio en Argentina y Uruguay : Una historia comparada de las políticas y tensiones en la recepción y asistencia en las posdictaduras (1983-1989)

Fil: Lastra, Soledad. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación; Argentina.